Systems of quasi-variational inequalities related to the switching problem

DOI10.1016/J.SPA.2018.04.008MaRDI QIDQ2419971zbMATH OpenOpenAlexWikidataFDO

Authors Tomasz Klimsiak

Publication date 4 June 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.02221

zbMATH Keywords

penalization schemequasi-variational inequalitiessemi-Dirichlet formsswitching problem

Mathematics Subject Classification ID

Dirichlet forms (31C25) Singular elliptic equations (35J75) Probabilistic potential theory (60J45)

Abstract: We prove the existence of weak solution for a system of quasi-variational inequalities related to a switching problem with dynamic driven by operator associated with a semi-Dirichlet form and with measure data. We give a stochastic representation of solutions in terms of solutions of a system of reflected BSDEs with oblique reflection. As a by-product, we prove the existence of an optimal strategy in the switching problem and show regularity of the payoff function.

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Cited in

(10)

• Comparison theorems for viscosity solutions of a system of quasivariational inequalities with application to optimal control with switching costs
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
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• System of variational inequalities with interconnected obstacles
• Systems of BSDES with oblique reflection and related optimal switching problems
• Dirichlet problem for semilinear partial integro-differential equations: the method of orthogonal projection

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